VWO Options History — September 2019

In September 2019, VWO traded between $40.10 and $42.16. ATM implied volatility averaged 15.8%, placing in the 7.5% IV rank vs the trailing year. The 30-day expected move averaged 4.5%. IV traded above realized volatility by 2.2% (HV 20d: 13.6%). Max pain ranged from $41.00 to $41.00. Net GEX was positive for 12 of 20 trading days. Term structure was in contango for 14 of 20 days. Put/call ratio averaged 4.32.

Notable Days

  • 2019-09-10: Highest Volume — 7,800 contracts
  • 2019-09-24: Largest IV spike — 23.3% change
  • 2019-09-03: Highest IV Rank — 19.2%
  • 2019-09-03: Largest Expected Move — 5.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$41.21$40.10$42.16$40.12$40.31
Max Pain$41.00$41.00$41.00$41.00$41.00
ATM IV15.8%13.3%19.7%19.7%16.3%
Expected Move4.5%3.7%5.6%5.6%4.6%
HV 20d13.6%9.6%17.3%16.7%13.5%
HV 60d15.4%14.7%16.2%15.9%15.3%
IV Rank7.5%0.1%19.2%19.2%9.1%
IV Percentile26.2%0.4%63.1%63.1%34.1%
Term Structure0.2%-1.4%1.3%0.0%-0.1%
VWIV16.2%10.9%21.7%19.5%10.9%
Skew 25d3.5%-8.4%9.5%9.5%4.0%
Skew 10d9.2%-16.9%60.3%21.8%8.9%
Call IV 25d14.9%12.7%28.2%16.4%15.0%
Put IV 25d18.5%14.8%25.8%25.8%19.1%
Bid-Ask Spread %56.9516.2294.2081.0416.22
Gamma HHI0.140.090.190.090.11
Net GEX434.3K-3.4M4.0M-944.5K-3.4M
Net DEX7.3M-22.0M38.5M31.3M34.6M
Net VEX-473.6K-510.4K-422.4K-465.9K-446.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.320.0172.580.570.43
Total Volume1,734.52077,800572443
Total OI91,050.880,380101,09587,47480,900

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2019-09-03$40.12$41.0019.7%5.6%16.7%19.2%19.5%9.5%0.0%-944.5K31.3M-465.9K0.5781.04N/AN/A36520740,96646,508
2019-09-04$40.80$41.0017.6%5.2%17.1%13.0%19.3%6.0%-0.2%516.7K15.2M-477.4K0.8578.43N/AN/A88475241,26146,708
2019-09-05$41.17$41.0016.7%4.6%17.3%10.3%17.0%-8.4%0.2%1.3M6.2M-467.5K0.2892.63N/AN/A47913241,41647,382
2019-09-06$41.26$41.0014.9%4.4%16.6%4.8%15.2%5.2%0.5%1.8M3.1M-476.7K0.2487.73N/AN/A5,9281,41841,64347,389
2019-09-09$41.34$41.0015.6%4.6%16.2%6.9%16.7%4.5%0.9%2.3M-554.9K-491.3K0.5329.61N/AN/A79141744,99548,624
2019-09-10$41.34$41.0015.4%4.6%15.4%6.3%16.7%4.1%1.3%2.2M1.2M-489.4K72.5890.24N/AN/A1067,69445,13849,012
2019-09-11$41.66$41.0015.2%4.1%15.2%5.8%21.7%4.1%-0.8%2.7M-7.3M-510.4K0.3634.82N/AN/A28710445,16952,403
2019-09-12$42.00$41.0016.1%4.1%11.4%8.5%17.2%3.0%-1.4%3.6M-17.9M-478.1K0.2371.67N/AN/A43210145,30052,931
2019-09-13$42.16$41.0014.8%4.2%11.4%4.4%17.1%4.3%-0.4%4.0M-22.0M-509.4K0.3937.12N/AN/A2,8281,10245,53552,920
2019-09-16$41.81$41.0015.0%4.3%11.7%5.1%18.4%4.5%0.1%3.1M-6.8M-498.3K1.2427.06N/AN/A25031045,45153,951
2019-09-17$41.89$41.0016.4%4.3%11.7%9.3%15.2%4.6%0.2%3.8M-8.7M-497.0K0.6090.79N/AN/A23614145,60153,803
2019-09-18$41.68$41.0013.8%4.0%12.0%1.5%14.1%3.5%0.8%2.6M-5.9M-457.3K4.3393.58N/AN/A3121,35145,74653,894
2019-09-19$41.47$41.0014.6%4.2%12.1%3.9%13.9%2.2%-0.1%331.6K4.4M-442.3K0.0142.19N/AN/A1,5452145,86955,226
2019-09-20$41.51$41.0013.7%3.8%11.2%1.2%13.1%2.9%0.4%-2.7M3.9M-435.9K0.7337.95N/AN/A1,7291,25644,74155,230
2019-09-23$41.61$41.0013.3%3.7%9.6%0.1%12.5%2.1%0.4%-2.4M2.2M-422.4K0.8194.20N/AN/A70957633,72146,659
2019-09-24$40.70$41.0016.4%4.6%13.0%9.5%14.7%3.8%0.6%-2.3M25.1M-478.9K0.8525.75N/AN/A37932333,79347,227
2019-09-25$40.70$41.0016.2%4.7%13.0%8.8%18.1%4.6%0.2%-2.3M24.4M-485.0K0.1816.75N/AN/A3616634,07947,024
2019-09-26$40.64$41.0016.1%4.6%13.0%8.5%14.7%4.0%0.3%-2.3M24.8M-480.0K0.0723.70N/AN/A1941334,35447,010
2019-09-27$40.10$41.0017.6%5.1%13.5%13.1%17.5%1.7%1.0%-3.2M38.5M-462.1K1.1467.57N/AN/A20923934,41647,021
2019-09-30$40.31$41.0016.3%4.6%13.5%9.1%10.9%4.0%-0.1%-3.4M34.6M-446.9K0.4316.22N/AN/A31013333,94446,956